Optimal Portfolio Allocation under Higher Moments
评估资产收益非正态性如何影响投资组合配置，通过泰勒展开计算最优配置，发现均值方差准则在非正态性较大时失效，而三阶或四阶矩优化能更好逼近期望效用最大化。
We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain moments and to compute the optimal portfolio allocation numerically. A decisive advantage of this approach is that it remains operational even for a large number of assets. While the mean-variance criterion provides a good approximation of the expected utility maximization under moderate non-normality, it may be ineffective under large departure from normality. In such cases, the three-moment or four-moment optimization strategies may provide a good approximation of the expected utility.